Study Key Insight
Doran & Krieger (2010) — Journal of Derivatives IV increases sharply before earnings announcements, especially in short-dated options, and collapses afterward.
Pan & Poteshman (2006) — Review of Financial Studies Option volumes and IV changes contain information about future stock price movements.
Xing, Zhang & Zhao (2010) — JFQA The shape of the volatility smirk before earnings predicts cross-sectional returns.
Dennis, Mayhew & Stivers (2006) Show that pre-event volatility is not fully explained by historical volatility alone — indicating strong risk-premium effects.